A double-threshold GARCH model of stock market and currency shocks on stock returns

DOI10.1016/J.MATCOM.2008.01.048MaRDI QIDQ960342zbMATH OpenOpenAlexFDO

Authors Yung-Lieh Yang, Chialin Chang

Publication date 17 December 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.01.048

zbMATH Keywords

asymmetryexchange ratesthreshold valuesstock market returnsdouble-threshold GARCH model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An econometric analysis of asymmetric volatility: theory and application to patents
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Stationarity and the existence of moments of a family of GARCH processes.
• Testing and Modeling Threshold Autoregressive Processes
• Threshold heteroskedastic models

Cited in

(9)

• Domestic and international leverage effects of major Asian stock markets based on stochastic volatility models
• Foreigner investors and stock volatility: Evidence from Taiwan
• Asymmetric response and interaction of U.S. and local news in financial markets
• Free trade agreements and volatility of stock returns and exchange rates: evidence from NAFTA
• Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
• A quantile function approach to the distribution of financial returns following TGARCH models
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Further properties of random orthogonal matrix simulation

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